Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0099
Annualized Std Dev 0.1266
Annualized Sharpe (Rf=0%) -0.0780

Row

Daily Return Statistics

Close
Observations 5586.0000
NAs 1.0000
Minimum -0.1304
Quartile 1 -0.0032
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0036
Maximum 0.1053
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0080
Skewness -0.6106
Kurtosis 45.8791

Downside Risk

Close
Semi Deviation 0.0058
Gain Deviation 0.0061
Loss Deviation 0.0068
Downside Deviation (MAR=210%) 0.0111
Downside Deviation (Rf=0%) 0.0058
Downside Deviation (0%) 0.0058
Maximum Drawdown 0.5571
Historical VaR (95%) -0.0108
Historical ES (95%) -0.0187
Modified VaR (95%) -0.0071
Modified ES (95%) -0.0071
From Trough To Depth Length To Trough Recovery
1999-01-05 2008-12-12 NA -0.5571 5587 2500 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0 -0.4 -0.4 0.4 0.4 0.4 0 0.5 0 -1 0.5 0.4
2000 -0.5 -0.5 2.7 -1.1 0.6 0.6 -0.5 -0.5 0.5 0 0 1.5 2.6
2001 0.1 0.4 0.2 0.4 0.4 0.5 0.5 0.8 0.6 0.6 0.6 0.4 5.7
2002 0 0.2 0 0.2 0.1 0.1 0.6 0.1 -0.7 -0.4 0.5 0.5 1.4
2003 1.5 0 0 0.1 0.2 0.1 -0.2 0.5 0.5 0.6 0.3 0.7 4.4
2004 0.6 -0.4 -0.1 0.3 -0.7 -0.2 0.7 -0.1 -0.6 -0.1 -0.3 -0.1 -1
2005 0.1 0.3 0.7 0.2 0.5 -0.1 -1.1 0.3 0 -0.5 0 -0.2 0.2
2006 0.1 0.1 -0.1 0.1 0 0.2 -0.4 0.1 0.4 0.1 0.1 1 1.7
2007 0.1 -0.2 -0.1 0.4 -0.1 0.5 -0.2 -0.1 -0.3 -0.6 0 1.1 0.5
2008 0.3 -1.2 0.2 -0.2 -0.2 0.3 0 -0.2 1.4 3.3 -3.7 0.2 0
2009 0.4 -0.5 -0.3 0.8 0.1 -0.2 -0.3 0.7 0.3 0.2 0 -0.1 1.1
2010 0.3 0.2 -0.1 -0.4 -0.2 -0.2 0.7 -0.3 -0.2 0.5 -3.1 2.4 -0.5
2011 0.6 0.4 0.7 0.7 0.7 0.2 0.5 0.5 0.6 0.6 1.1 0.3 7.1
2012 0.7 -0.1 -0.6 0.4 -0.2 0.1 -0.9 -0.3 -0.3 0.7 -0.7 1 -0.2
2013 0.3 0.3 -0.2 0.3 -1.5 -2 -1.1 -0.2 -0.2 -1.3 -0.6 0 -6
2014 0.1 -0.5 -0.2 0.1 -0.1 -0.1 0.4 -0.1 0.3 0 -0.6 0 -0.6
2015 0.4 0.8 0.5 -0.7 0.3 -0.1 1.2 0.2 -0.1 0.5 0.8 0.5 4.5
2016 1 0.5 0.1 0.5 1.1 0.2 0 0.8 -0.3 -0.1 -0.3 -0.4 3.1
2017 -0.2 0.1 0.5 0 -0.2 -0.3 0.2 0.2 0.3 -0.1 0.2 0.8 1.5
2018 0 -0.1 0.2 0 -0.1 0.4 -0.1 0.1 -0.2 0.2 0.4 0.6 1.5
2019 0 0.3 0 0.4 0.2 0.2 0.4 -0.3 -0.1 0.2 -0.2 0.5 1.6
2020 -0.1 -0.5 -2.5 1 -0.5 0.4 0.4 0.9 0 0.1 0.6 0.6 0.4
2021 0.7 0.2 0.2 NA NA NA NA NA NA NA NA NA 1.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  16.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  16.2 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  16.1 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  16.3 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  16.2 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  16.2 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart